From: Jérôme Benoit <jerome.benoit@piment-noir.org>
Date: Thu, 8 May 2025 20:59:17 +0000 (+0200)
Subject: fix(qav3): filter noisy candles in pivot labeling
X-Git-Url: https://git.piment-noir.org/?a=commitdiff_plain;h=184e8d630947ab1fb85dd699031c547ec35d29a3;p=freqai-strategies.git

fix(qav3): filter noisy candles in pivot labeling

Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
---

diff --git a/quickadapter/user_data/freqaimodels/QuickAdapterRegressorV3.py b/quickadapter/user_data/freqaimodels/QuickAdapterRegressorV3.py
index ec6e492..6dada92 100644
--- a/quickadapter/user_data/freqaimodels/QuickAdapterRegressorV3.py
+++ b/quickadapter/user_data/freqaimodels/QuickAdapterRegressorV3.py
@@ -934,6 +934,22 @@ def zigzag(
             elif direction == TrendDirection.UP:
                 previous_slope_ok = previous_slope < 0
 
+        significant_move_away_ok = False
+        if direction == TrendDirection.DOWN:
+            if np.any(
+                next_lows
+                < highs[candidate_pivot_pos]
+                * (1 - thresholds[candidate_pivot_pos] * 0.15)
+            ):
+                significant_move_away_ok = True
+        elif direction == TrendDirection.UP:
+            if np.any(
+                next_highs
+                > lows[candidate_pivot_pos]
+                * (1 + thresholds[candidate_pivot_pos] * 0.15)
+            ):
+                significant_move_away_ok = True
+
         if direction == TrendDirection.DOWN:
             return (
                 np.all(next_closes < highs[candidate_pivot_pos])
@@ -942,6 +958,7 @@ def zigzag(
                 and np.max(previous_highs) <= highs[candidate_pivot_pos]
                 and next_slope_ok
                 and previous_slope_ok
+                and significant_move_away_ok
             )
         elif direction == TrendDirection.UP:
             return (
@@ -951,6 +968,7 @@ def zigzag(
                 and np.min(previous_lows) >= lows[candidate_pivot_pos]
                 and next_slope_ok
                 and previous_slope_ok
+                and significant_move_away_ok
             )
         return False
 
diff --git a/quickadapter/user_data/strategies/Utils.py b/quickadapter/user_data/strategies/Utils.py
index 68a5770..1ebdfac 100644
--- a/quickadapter/user_data/strategies/Utils.py
+++ b/quickadapter/user_data/strategies/Utils.py
@@ -428,6 +428,22 @@ def zigzag(
             elif direction == TrendDirection.UP:
                 previous_slope_ok = previous_slope < 0
 
+        significant_move_away_ok = False
+        if direction == TrendDirection.DOWN:
+            if np.any(
+                next_lows
+                < highs[candidate_pivot_pos]
+                * (1 - thresholds[candidate_pivot_pos] * 0.15)
+            ):
+                significant_move_away_ok = True
+        elif direction == TrendDirection.UP:
+            if np.any(
+                next_highs
+                > lows[candidate_pivot_pos]
+                * (1 + thresholds[candidate_pivot_pos] * 0.15)
+            ):
+                significant_move_away_ok = True
+
         if direction == TrendDirection.DOWN:
             return (
                 np.all(next_closes < highs[candidate_pivot_pos])
@@ -436,6 +452,7 @@ def zigzag(
                 and np.max(previous_highs) <= highs[candidate_pivot_pos]
                 and next_slope_ok
                 and previous_slope_ok
+                and significant_move_away_ok
             )
         elif direction == TrendDirection.UP:
             return (
@@ -445,6 +462,7 @@ def zigzag(
                 and np.min(previous_lows) >= lows[candidate_pivot_pos]
                 and next_slope_ok
                 and previous_slope_ok
+                and significant_move_away_ok
             )
         return False